I went to listen to Lorenzo Snow Lesson 3 on lds.org using the following link. The page takes you to the second link. There is no longer a listen option on the second link. Will it be coming back or is there a different path to listen to the lessons in the manual?

I can't answer your specific question, but my wife wanted to use the audio in her lesson this Sunday so I did a little playing around and this is what I found. If you have the Gospel Library app installed on your phone / tablet you can go to a Lorenzo Snow lesson and touch the |> (play) button at the bottom of the display. You have an option to listen or download. I chose download and when it finished I navigated to the folder on my phone where the file was located. On my phone it was /mnt/sdcard/gospel-library/1/media/ and there I found the file I had downloaded.